Michael Roberts

• Larry Cordell, Michael Roberts, Michael Schwert (Working), CLO Performance. Abstract

  We present evidence on the performance of collateralized loan obligations (CLOs). CLO debt tranches have consistently outperformed their benchmarks over the last twenty years, though by a small amount. CLO equity tranches issued before the 2008 crisis outperformed their benchmarks by a wide margin — a consequence of the “term leverage” in CLO structures that amplified the effects of the post-crisis economic recovery. Equity has underperformed its benchmarks since the crisis. Cross-sectional variation in CLO equity performance is driven to a large extent by persistent differences across CLO managers. Top-performing managers select loans with higher coupon rates and generate more value by trading in the secondary market.

• Michael Roberts and Michael Schwert (Working), Interest Rates and the Design of Financial Contracts. Abstract

  We show that variation in short-term nominal interest rates produces an endogenous response in the design of and commitment to corporate loan contracts. Interest rates are inversely related to the cash flow rights and positively related to the control rights granted to creditors. An implication of this contractual response is a sharp increase in the ex post renegotiation of contracts originated in low interest rate environments, as well as a muted effect of interest rate variation on the cost of debt capital. Our findings illustrate how the design of financial contracts in practice reflects a multi-dimensional tradeoff among contract features that aligns incentives and apportions risk among the contracting parties in a state-contingent manner.

Current Courses

• FNCE1008 - Corporate Finance (honors)

  This course provides an introduction to the theory, the methods, and the concerns of corporate finance. The concepts developed in FNCE 1000 form the foundation for all elective finance courses. The main topics include: 1) the time value of money and capital budgeting techniques; 2) uncertainty and the trade-off between risk and return; 3) security market efficiency; 4) optimal capital structure, and 5) dividend policy decisions. ACCT 1010 + STAT 1010 may be taken concurrently. Honors sections require MATH 1400 or MATH 1070 as a prerequisite. Application process.

  FNCE1008301 ( Syllabus )

• FNCE6110 - Corporate Finance

  This course serves as an introduction to business finance (corporate financial management and investments) for both non-majors and majors preparing for upper-level course work. The primary objective is to provide the framework, concepts, and tools for analyzing financial decisions based on fundamental principles of modern financial theory. The approach is rigorous and analytical. Topics covered include discounted cash flow techniques; corporate capital budgeting and valuation; investment decisions under uncertainty; capital asset pricing; options; and market efficiency. The course will also analyze corporate financial policy, including capital structure, cost of capital, dividend policy, and related issues. Additional topics will differ according to individual instructors.

  FNCE6110005 ( Syllabus )

Past Courses

• FNCE1000 - Corporate Finance

  This course provides an introduction to the theory, the methods, and the concerns of corporate finance. The concepts developed in FNCE 1000 form the foundation for all elective finance courses. The main topics include: 1) the time value of money and capital budgeting techniques; 2) uncertainty and the trade-off between risk and return; 3) security market efficiency; 4) optimal capital structure, and 5) dividend policy decisions. ACCT 1010 + STAT 1010 may be taken concurrently.

• FNCE1008 - Corporate Finance (Honors)

  This course provides an introduction to the theory, the methods, and the concerns of corporate finance. The concepts developed in FNCE 1000 form the foundation for all elective finance courses. The main topics include: 1) the time value of money and capital budgeting techniques; 2) uncertainty and the trade-off between risk and return; 3) security market efficiency; 4) optimal capital structure, and 5) dividend policy decisions. ACCT 1010 + STAT 1010 may be taken concurrently. Honors sections require MATH 1400 or MATH 1070 as a prerequisite. Application process.

• FNCE2370 - Data Science For Finance

  This course will introduce students to data science for financial applications using the Python programming language and its ecosystem of packages (e.g., Dask, Matplotlib, Numpy, Numba, Pandas, SciPy, Scikit-Learn, StatsModels). To do so, students will investigate a variety of empirical questions from different areas within finance including: FinTech, investment management, corporate finance, corporate governance, venture capital, private equity, and entrepreneurial finance. The course will highlight how big data and data analytics shape the way finance is practiced. Some programming experience is helpful though knowledge of Python is not assumed.

• FNCE3990 - Independent Study

  Integrates the work of the various courses and familiarizes the student with the tools and techniques of research.

• FNCE6110 - Corporate Finance

  This course serves as an introduction to business finance (corporate financial management and investments) for both non-majors and majors preparing for upper-level course work. The primary objective is to provide the framework, concepts, and tools for analyzing financial decisions based on fundamental principles of modern financial theory. The approach is rigorous and analytical. Topics covered include discounted cash flow techniques; corporate capital budgeting and valuation; investment decisions under uncertainty; capital asset pricing; options; and market efficiency. The course will also analyze corporate financial policy, including capital structure, cost of capital, dividend policy, and related issues. Additional topics will differ according to individual instructors.

• FNCE6210 - Corporate Finance (Half CU)

  This half-semester course serves as an introduction to corporate investments for non-majors. The primary objective is to provide a framework, concepts, and tools for analyzing financial decisions based on fundamental principles of modern financial theory. Topics covered include discounted cash flow techniques, corporate capital budgeting and valuation, investment decisions under uncertainty, and capital asset pricing. The approach is rigorous and analytical but the course will not cover several topics included in the full semester Corporate Finance course, including: market efficiency, corporate financial policy (including capital structure, cost of capital, dividend policy, and related issues), and options.

• FNCE7070 - Valuation

  The focus of this course is on the valuation of companies. The course covers current conceptual and theoretical valuation frameworks and translates those frameworks into practical approaches for valuing companies. The relevant accounting topics and the appropriate finance theory are integrated to show how to implement the valuation frameworks discussed on a step-by-step basis. The course teaches how to develop the required information for valuing companies from financial statements and other information sources in a real-world setting. Topics covered in depth include discounted cash flow techniques and price multiples. In addition, the course covers other valuation techniques such as leveraged buyout analysis.

• FNCE8990 - Independent Study

  Independent Study Projects require extensive independent work and a considerable amount of writing. ISP in Finance are intended to give students the opportunity to study a particular topic in Finance in greater depth than is covered in the curriculum. The application for ISP's should outline a plan of study that requires at least as much work as a typical course in the Finance Department that meets twice a week. Applications for FNCE 8990 ISP's will not be accepted after the THIRD WEEK OF THE SEMESTER. ISP's must be supervised by a Standing Faculty member of the Finance Department.

• FNCE9260 - Empirical Meth Corp Fn

  The course will cover a variety of micro-econometric models and methods including panel data models, program evaluation methods e.g. difference in differences, matching techniques, regression discontinuity design, instrumental variables, duration models, structural estimation, simulated methods of moments. The structure of the course consists of lectures, student presentations, and empirical exercises. Published studies will be utilized in a variety of fields such as corporate finance, labor economics, and industrial organization to illustrate the various techniques. The goal of the course is to provide students with a working knowledge of various econometric techniques that they can apply in their own research. As such, the emphasis of the course is on applications, not theory. Students are required to have taken a graduate sequence in Econometrics, you should be comfortable with econometrics at the level of William Green's "Econometric Analysis of Cross-Section and Panel Data".

• Jensen Prize - First place paper on corporate finance and organizations published in the Journal of Financial Economics, 2016 Description

  Best paper on corporate finance and organizations published in the Journal of Financial Economics

• Helen Kardon Moss Anvil Teaching Award, Nominee, The Wharton School, 2015
• Core Curriculum Teaching Award, The Wharton School, 2015
• Marshall E. Blume Prize - First Place, 2014
• Greener Family Fellowship, The Wharton School, 2013
• Jacobs Levy Equity Management Center for Quantitative Financial Research Fellowship, The Wharton School, 2013
• Rising Stars of Finance, 2012
• Financial Research Associate, Best Discussant, 2012
• Helen Kardon Moss Anvil Teaching Award, Nominee, The Wharton School, 2012
• Geewax, Terker, and Co. Prize, Distinguished paper published by Rodney L. White Center, 2010
• Rodney L. White Center Research Grant, The Wharton School, 2009
• Brattle Prize, Nominee for Best Paper Published in the Journal of Finance, 2008
• Brattle Prize, Distinguished Award for Best Paper published in the Journal of Finance, 2008
• Excellence in Teaching Award, The Wharton School, 2008
• Greek Executive Council Honorable Recognition, University of Pennsylvania, 2007
• Aronson, Johnson, and Ortiz Research Fellowship, The Wharton School, 2007
• Rodney L. White Center Research Grant, The Wharton School, 2007
• Excellence in Teaching Award, The Wharton School, 2006
• David W. Hauk Award for Outstanding Teaching, The Wharton School, 2006
• Greek Executive Council Honorable Recognition, University of Pennsylvania, 2006
• Geewax, Terker, and Co. Prize, Distinguished paper published by Rodney L. White Center, 2006
• Brattle Prize, Distinguished Award for Best Paper published in the Journal of Finance, 2006
• Review of Financial Studies, Outstanding Referee Award, 2005
• NYSE Fellowship, The Wharton School, 2005
• Rodney L. White Center Research Grant, The Wharton School, 2005
• Rodney L. White Center Research Grant, The Wharton School, 2004
• Daimler-Chrysler Core Teaching Award, Duke University, 2004
• Excellence in Teaching Award, The Wharton School, 2004
• Southwestern Finance Association, Best Paper in Corporate Finance, 2004
• Financial Management Association Award, Best Paper in Corporate Finance, 2004
• CIBER International Research Grant, Duke University, 2003
• Hartman Center Grant, Duke University, 2003
• CIBER International Research Grant, Duke University, 2002
• Elizabeth Schott Award for Excellence in Statistical Research, University of California Berkeley, 2000
• UC Regents Fellowship, University of California Berkeley, 2000

• Wharton launches executive program to educate on fixed income and credit market investing, Daily Pennsylvanian - 02/21/2024
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• What if you don't pay back student loans? TikTokers are wrong about the 'ostrich' method, USA Today - 09/24/2022
• How Wharton's sold-out 'data science for finance' class is giving future bankers and hedge funders the tools they need to win on Wall Street, Business Insider - 03/21/2022

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